Pengujian Asumsi &

5 Struktur Varians-Kovarians
Politeknik Statistika STIS, Jakarta
INDONESIA - 2023
PENGUJIAN ASUMSI
[Normality, Non-autocorrelation,
Multicollinearity, Struktur varians]
Normality
[Jarque-Bera, Kolmogorov-Smirnov, dll]
 Jarque–Bera test
• In statistics, the Jarque–Bera test is a goodness-of-fit test of whether sample data have
the skewness and kurtosis matching a normal distribution. The test is named after Carlos
Jarque and Anil K. Bera. The test statistic is always nonnegative. If it is far from zero, it
signals the data do not have a normal distribution.
• The test statistic JB is defined as

• where n is the number of observations (or degrees of freedom in general); S is the

sample skewness, K is the sample kurtosis :
Kolmogorov–Smirnov test
(this one only works if the mean and the variance of the normal are assumed
known under the null hypothesis)
• In statistics, the Kolmogorov–Smirnov test is a nonparametric test of the equality of
continuous (or discontinuous), one-dimensional probability distributions that can be
used to compare a sample with a reference probability distribution (one-sample K–S
test), or to compare two samples (two-sample K–S test). It is named after Andrey
Kolmogorov and Nikolai Smirnov.
• The Kolmogorov–Smirnov statistic quantifies a distance between the empirical
distribution function of the sample and the cumulative distribution function of the
reference distribution, or between the empirical distribution functions of two samples.
The null distribution of this statistic is calculated under the null hypothesis that the
sample is drawn from the reference distribution (in the one-sample case) or that the
samples are drawn from the same distribution (in the two-sample case). In the one-
sample case, the distribution considered under the null hypothesis may be continuous,
purely discrete or mixed. In the two-sample case, the distribution considered under the
null hypothesis is a continuous distribution but is otherwise unrestricted.
Lilliefors test
(based on the Kolmogorov–Smirnov test, adjusted for when also
estimating the mean and variance from the data)

• In statistics, the Lilliefors test is a normality test based on

the Kolmogorov–Smirnov test. It is used to test the null hypothesis that
data come from a normally distributed population, when the null
hypothesis does not specify which normal distribution; i.e., it does not
specify the expected value and variance of the distribution.[1] It is
named after Hubert Lilliefors, professor of statistics at George
Washington University.
• A variant of the test can be used to test the null hypothesis that data
come from an exponentially distributed population, when the null
hypothesis does not specify which exponential distribution
Serial Correlation
[Durbin Watson Test and Its
Corrected]
Durbin–Watson test for panel data
• For panel data this statistic was generalized as follows by Alok Bhargava et al.
(1982):
• If eit is the residual from an OLS regression with fixed effects for each
observational unit i, associated with the observation in panel i at time t, then
the test statistic is

• This statistic can be compared with tabulated rejection values [see Alok
Bhargava et al. (1982), page 537]. These values are calculated dependent
on T (length of the balanced panel—time periods the individuals were
surveyed), K (number of regressors) and N (number of individuals in the
panel). This test statistic can also be used for testing the null hypothesis of
a unit root against stationary alternatives in fixed effects models using
another set of bounds (Tables V and VI) tabulated by Alok Bhargava et al.
(1982). A version of the statistic suitable for unbalanced panel data is given by
Baltagi and Wu (1999)
Durbin Watson
• Pada fixed effects model, Bhargava, Franzini and
Narendranathan (1982), memodifikasi statistik Durbin-watson,
hanya didasarkan atas residual fixed effect (vit). (available in
STATA)

Epsilon adalah v
Jika tidak terpenuhi …
• Salah satu upaya untuk mengatasi serial correlation adalah
dengan menambahkan lag dependent variable sebagai
explanatory variable.
• Model tersebut dikatakan sebagai Model Panel Dinamis
• Tidak bisa lagi diestimasi menggunakan OLS
Multicollinearity
[Signifikansi parsial, Korelasi, VIF]
Multicollinearity
Indicators that multicollinearity may be present in a model include the following:
• Large changes in the estimated regression coefficients when a predictor variable is
added or deleted
• Insignificant regression coefficients for the affected variables in the multiple regression,
but a rejection of the joint hypothesis that those coefficients are all zero (using an F-test)
• If a multivariable regression finds an insignificant coefficient of a particular explanator,
yet a simple linear regression of the explained variable on this explanatory variable
shows its coefficient to be significantly different from zero, this situation indicates
multicollinearity in the multivariable regression.
• Some authors have suggested a formal detection-tolerance or the variance inflation
factor (VIF) for multicollinearity:

• Where Rj2 is the coefficient of determination of a regression of explanator j on all the

other explanators. A tolerance of less than 0.20 or 0.10 and/or a VIF of 5 or 10 and
above indicates a multicollinearity problem.
Jika tidak terpenuhi …
• Mereduksi jumlah explanatory variable
• Menambah jumlah sampel
• Memodelkan dengan ridge regression
• Dibiarkan saja, jika overall F test dan partial t test signifikan
serta hubungan antar variabel dapat dijelaskan [less
multicolinearity].
STRUKTUR VARIANS-KOVARIANS
[Heteroskedastic & cross-sectional
correlation]
Menampilkan Matriks Kovarians Estimasi Parameter
Struktur Varians-Kovarians

Homoskedastic

Heteroskedastic without cross-sectional

correlation

Heteroskedastic with cross-sectional

correlation

Heteroskedastic with serial correlation

Homoskedasticity
[Lagrange Multiplier Test]
Uji Lagrange Multiplier (LM test)
• Hipotesis
• Ho: σi2 = σ2
• Ho: σi2 = σi2

• Statistik uji
Cross-sectional Correlation
[Lambda LM-Test]
λLM Test: Cross-sectional correlation
• Ho: E(uit ujt) = 0 atau Cov(uit,ujt) = 0
• H1: E(uit ujt) ≠ 0
Menguji cross-sectional correlation
Jika tidak terpenuhi …
• Melakukan transformasi variable dan respesifikasi model
• Menggunakan metode estimasi yang mampu mengatasi
heterosekedastic dan cross-sectional correlation
 Metode estimasi untuk mengatasi heteroskedastic
dan cross-sectional correlation

Struktur Varian-Kovarian Metode Estimasi

Homoskedastic OLS

Heteroskedastic no cross-sectional correlation cross-sectional weight / GLS

Heteroskedastic with cross-sectional correlation cross-sectional SUR / GLS

Present of serrial correlation GMM / Arellano Bond

Cross-sectional Correlation
Menggunakan uji LM dan uji LR
Misalkan yang terpilih FEM → ada cross-sectional correlation →
diestimasi dengan (F)GLS-Seemingly Unrelated Regression (SUR)
 Metode Estimasi Model Random Effect

▪ Karena itu, metode OLS tidak bisa digunakan untuk

mendapatkan estimator yang efisien bagi model
random effects. Gunakan Generalized Least Squares
(GLS).
▪ Oleh karena telah menggunakan GLS, maka pada
random effect model tidak perlu dilakukan pengujian
struktur varians-kovarians dan serial correlation,
cukup normality dan multicollinearity
INTEPRETASI
[Signifikansi & Intepretasi]

“ Statistically Satisfied and Economically Meaningfull “

Pengujian Hipotesis
• T-stat
Goodness of fits
• F test
• R-square dan adj-R square
Intepretation
• Common
• Fixed
• Random